SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Methods for Evaluating Density Functions of Exponential Functionals Represented as Integrals of Geometric Brownian Motion
11 references·1 citing·26 second hop
Methods for Evaluating Density Functions of Exponential Functionals Represented as Integrals of Geometric Brownian Motion (2005)Methods for Evaluating Density Functions …A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options (2004)A study of the Hartman–Watson…On the integral of geometric Brownian motion (2003)On the integral of geometric …On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts (2003)On Dufresne's relation betwee…The integral of geometric Brownian motion (2001)The integral of geometric Bro…On Some Exponential Functionals of Brownian Motion (2001)On Some Exponential Functiona…On a Triplet of Exponential Brownian Functionals (2001)On a Triplet of Exponential B…Exponential Functionals of Brownian Motion and Related Processes (2001)Exponential Functionals of Br…Laguerre Series for Asian and Other Options (2000)Laguerre Series for Asian and…The value of an Asian option (1995)The value of an Asian optionOn some exponential functionals of Brownian motion (1992)On some exponential functiona…The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)The Distribution of a Perpetu…The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options (2011)The Hartman-Watson Distributi…BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)Continuous Martingales and Brownian Motion (1999)The log-normal approximation in financial and other computations (2004)Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model (2012)A pricing method for options based on average asset values (1990)On the Fundamental Solution of the Kolmogorov–Shiryaev Equation (2006)The α -hypergeometric stochastic volatility model (2015)Continuous Martingales and Brownian Motion (1991)PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)Theory of Financial Decision Making. (1988)A new PDE approach for pricing arithmetic average Asian options (2001)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)Stochastic Differential Equations (1972)Stochastic Differential Equations: Theory and Applications. (1976)Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)A survey and some generalizations of Bessel processes (2003)Stochastic Differential Equations (2006)Spectral Expansions for Asian (Average Price) Options (2004)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)Exponential functionals of Lévy processes (2005)Séminaire de Probabilités XXXV (2001)Prices and sensitivities of Asian options: A survey (2007)Perpetual Integral Functionals as Hitting and Occupation Times (2005)ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I (2010)Arbitrage possibilities in Bessel processes and their relations to local martingales (1995)
this work references cited by second hop

References

  • 1995The value of an Asian option532 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
  • 2001Exponential Functionals of Brownian Motion and Related Processes295 cited
  • 2001On Some Exponential Functionals of Brownian Motion290 cited
  • 1992On some exponential functionals of Brownian motion259 cited
  • 2000Laguerre Series for Asian and Other Options143 cited
  • 2001The integral of geometric Brownian motion132 cited
  • 2004A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options43 cited
  • 2001On a Triplet of Exponential Brownian Functionals29 cited
  • 2003On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts28 cited
  • 2003On the integral of geometric Brownian motion26 cited

Cited by

  • 2011The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options20 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work